Associate Professor of Professional Practice and Co-Director of the Center for Financial Engineering
Martin Haugh originally joined the Industrial Engineering and Operations Research Department in January 2002 after completing his PhD in Operations Research at MIT. He was a faculty member in the IEOR department until June 2005 and during this time his teaching and research focused on financial...
IEORE4602 Quantitative Risk Management
Instructor: Martin Haugh
Additional Information: IEOR_E4602_Spring_2016_Syllabus.pdf
3 pts. Lect: 3. IEOR E4150: Introduction to Probability and Statistics and IEOR E4106: Introduction to Operations Research: Stochastic Models. This course focuses on risk management models and tools and the measurement of risk using statistical and stochastic methods, hedging and diversification. Examples of this include insurance risk, financial risk, and operational risk. Topics covered include VaR, estimating rare events, extreme value analysis, time series estimation of extremal events; axioms of risk measures, hedging using financial options, credit risk modeling, and various insurance risk models.